PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
EWN vs. JNJ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

EWN vs. JNJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Netherlands ETF (EWN) and Johnson & Johnson (JNJ). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-11.57%
4.66%
EWN
JNJ

Returns By Period

In the year-to-date period, EWN achieves a 1.09% return, which is significantly lower than JNJ's 1.54% return. Over the past 10 years, EWN has outperformed JNJ with an annualized return of 8.17%, while JNJ has yielded a comparatively lower 6.65% annualized return.


EWN

YTD

1.09%

1M

-6.98%

6M

-11.57%

1Y

8.61%

5Y (annualized)

8.16%

10Y (annualized)

8.17%

JNJ

YTD

1.54%

1M

-4.86%

6M

4.66%

1Y

5.52%

5Y (annualized)

5.28%

10Y (annualized)

6.65%

Key characteristics


EWNJNJ
Sharpe Ratio0.470.35
Sortino Ratio0.760.63
Omega Ratio1.091.07
Calmar Ratio0.450.30
Martin Ratio1.631.00
Ulcer Index5.38%5.32%
Daily Std Dev18.82%15.16%
Max Drawdown-65.22%-38.78%
Current Drawdown-15.25%-10.11%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Correlation

-0.50.00.51.00.3

The correlation between EWN and JNJ is 0.32, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

EWN vs. JNJ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Netherlands ETF (EWN) and Johnson & Johnson (JNJ). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for EWN, currently valued at 0.47, compared to the broader market0.002.004.000.470.35
The chart of Sortino ratio for EWN, currently valued at 0.76, compared to the broader market-2.000.002.004.006.008.0010.000.760.63
The chart of Omega ratio for EWN, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.07
The chart of Calmar ratio for EWN, currently valued at 0.45, compared to the broader market0.005.0010.0015.000.450.30
The chart of Martin ratio for EWN, currently valued at 1.63, compared to the broader market0.0020.0040.0060.0080.00100.001.631.00
EWN
JNJ

The current EWN Sharpe Ratio is 0.47, which is higher than the JNJ Sharpe Ratio of 0.35. The chart below compares the historical Sharpe Ratios of EWN and JNJ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.47
0.35
EWN
JNJ

Dividends

EWN vs. JNJ - Dividend Comparison

EWN's dividend yield for the trailing twelve months is around 2.03%, less than JNJ's 2.36% yield.


TTM20232022202120202019201820172016201520142013
EWN
iShares MSCI Netherlands ETF
2.03%1.79%1.98%1.02%0.78%2.58%2.40%1.68%2.71%1.92%2.30%1.50%
JNJ
Johnson & Johnson
2.36%3.00%2.52%2.45%2.53%2.57%2.74%2.38%2.73%2.87%2.64%2.83%

Drawdowns

EWN vs. JNJ - Drawdown Comparison

The maximum EWN drawdown since its inception was -65.22%, which is greater than JNJ's maximum drawdown of -38.78%. Use the drawdown chart below to compare losses from any high point for EWN and JNJ. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-15.25%
-10.11%
EWN
JNJ

Volatility

EWN vs. JNJ - Volatility Comparison

iShares MSCI Netherlands ETF (EWN) has a higher volatility of 4.40% compared to Johnson & Johnson (JNJ) at 4.13%. This indicates that EWN's price experiences larger fluctuations and is considered to be riskier than JNJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.40%
4.13%
EWN
JNJ